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1、,2012 年 1 月 11 日能源市场周评研究报告原油价格的走强归因于经济前景而非伊朗局势2012 年首个交易日布伦特原油价格上涨了 4.75 美元/桶，而且今年截至目前价格在 113.00 美元/桶附近的较窄交易区间内波动。虽然很多人士将原油价格上涨归因于伊朗和西方之间的紧张局势升级，但我们看到市场的关注重点依然在于经济前景改善，而不是伊朗局势升级导致供应严重短缺的风险。几乎没有迹象表明当前原油价格中蕴含“伊朗溢价”,1 月 3 日净投机头寸仅温和上升，表明最近的价格上涨在较大程度上是源于较假日市场清淡状况的反弹。在原油价格上涨的同时，原油期权市场上计入的隐含波幅下降。如果市场确实注重潜在
2、的供应短缺，那么我们预计波幅会上升并且看涨期权偏度显著。虽然最近看涨期权偏度的负值缩小，但依然处于负值区域，不同于利比亚石油供应下降时期（看涨期权偏度显著为正）的情况。,David Greely(212)902-2850 高盛集团Stefan Wieler,CFA(212)357-7486,高盛集团对欧债危机影响仍限于欧洲内部的信心增强欧洲央行最近对银行融资的积极举措表明其将继续尽力防止欧洲金融和银行体系突然解体。此外，有积极迹象表明美国和中国受欧债问题的影响不大，两国经济数据继续超出预期。伊朗和西方之间的紧张局势使油价面临下行压力，但风险将更趋于上行考虑到美国新出台的对伊制裁措施以及对欧洲可
3、能实施禁运的预期，炼油企业正在减少来自伊朗的石油进口，并越来越多地转向沙特阿拉伯（该地区产量处于三十年来最高水平）。过剩的石油供应给现货市场价格带来下行压力。一旦欧洲实施禁运，我们预计这种下行压力将会消退。在我们看来，欧洲炼油企业将以沙特阿拉伯供应代替伊朗原油，使当前的过剩供应消除，同时中国将吸收伊朗过剩的原油，部分用于填补其战略储备。然而欧佩克闲置产能非常低，因此市场很容易受到供应进一步下降的影响（而来自伊朗和尼日利亚的供应尤其存在进一步下降的可能性）。投资者不应视本报告为作出投资决策的唯一因素。有关分析师的申明和其他重要信息，见信息披露附录，或参阅,高盛集团,高盛全球经济、商品和策略研究,
4、2,2012 年 1 月 11 日,Hedging and trading recommendations,Petroleum,Hedging recommendations,Consumers:Despite the notable slowdown in global economic growth,we continue to expect thatoil demand will grow well in excess of production capacity growth.In our view,it is only a matterof time before inventori
5、es and OPEC spare capacity become effectively exhausted,requiringhigher oil prices to restrain demand,keeping it in line with available supply.Further,as tensionsbetween Iran and the West escalate the risk to crude oil prices is becoming increasingly skewedto the upside.Consequently,we believe that
6、the large put skew in the crude oil options marketsthat is still present due to the markets continuing focus on the downside risk to prices from theEuropean debt crisis,particularly for longer-dated maturities,presents an opportunity forcommercial hedgers to add incremental protection on top of thei
7、r core hedging programs throughstructures such as zero-cost collars.,Refiners:US refining margins remain relatively strong as WTI prices remain weak relative toother crude oils such as Brent and LLS.While forward margins imply a narrowing of the WTI-Brent spread,we continue to expect longer-dated sp
8、reads to narrow even further than what themarket has currently priced in.Consequently,we see current long-dated refinery margins in 2012as a selling opportunity for refinery hedgers.Further,for 2H12 and beyond,we believe that crudewill be the bottleneck in the system,rather than refining;this would
9、squeeze margins from thecrude side through a renewed spike in backwardation,suggesting refiners also look for potentialtimespread hedges.This dynamic could become particularly severe should the tension betweenIran and the West lead to a more severe shortage of crude oil.,Producers:While we expect su
10、pply-demand balances to continue to move to critically tight levelsin 2H12,making producer hedging less attractive,the ongoing uncertainties over the Europeandebt situation still pose downside risks.Given the relatively large put skew in the market,wewould recommend put spread structures for oil pro
11、ducers,where incremental downside protectioncan be obtained against the impact on crude oil prices of a moderate slowdown in economicactivity by forgoing protection against a more severe downturn.This would be most beneficial toproducers that are able to lower production in the event of a severe dec
12、line in crude oil prices.,高盛全球经济、商品和策略研究,3,2012 年 1 月 11 日Current trading recommendations,Current trades,First recommended,Initial value,Current Value,Currentprofit/(loss)1,Short March 2012 WTI-Brent spread,Long December 12 WTI-Brent spreadBuy March 2012 ICE Brent Crude Oil,Buy December 2012 NYMEX W
13、TI Crude Oil,Sell March 2012 NYMEX WTI Crude Oil,Sell December 2012 ICE Brent Crude Oil,November 22,2011-Energy Weekly,$1.79/bbl,$3.02/bbl,$1.23/bbl,Long Gold,Buy December 2012 COMEX Gold,October 11,2010-Precious Metals,$1,800.5/toz,$1,620.5/toz,$243.9/toz,Rolled from a long Dec-11 COMEX Gold future
14、 position on 13-Nov-11 with a potential gain of$423.9/tozLong Brent Crude Oil,Buy July 2012 ICE Brent Crude Oil,May 23,2011-Energy Watch,$105.16/bbl,$111.79/bbl,$6.63/bbl,Rolled from a long Dec-12 ICE Brent Crude Oil future position on 1-Nov-11 with a potential loss of$1.95/bblLong Copper,Buy June 2
15、012 LME Copper,December 19,2011-Metal Detector,$7,274/mt,$7,746/mt,$472/mt,Long Zinc,Buy December 2012 LME Zinc,December 19,2011-Metal Detector,$1,891/mt,$1,981/mt,$90/mt,Long UK Natural Gas,Buy Q4 2012 ICE UK NBP Natural Gas,April 26,2011-Natural Gas Weekly,70.8 p/th,64.1 p/th,(6.6 p/th),As of clos
16、e on January 10,2012.Inclusive of all previous rolling profits/losses.Source:Goldman Sachs Global ECS Research.高盛全球经济、商品和策略研究,1,2,3,4,4,2012 年 1 月 11 日Price actions,volatilities and forecasts,Prices and monthlychanges1,Volatilities(%)and monthly changes2,Historical Prices,Price Forecasts3,units,09 J
17、an Change Implied2 Change Realized2Change,2Q 10,3Q 10,4Q 10,1Q 11,2Q 11,3Q 11,3m,6m,12m,EnergyWTI Crude OilBrent Crude OilRBOB GasolineNYMEX Heating OilNYMEX Nat.GasUK NBP Nat.Gas,$/bbl$/bbl$/gal$/gal$/mmBtup/th,101.56113.062.753.073.0652.87,3.224.950.190.14-0.40-5.81,37.036.535.432.539.623.3,-2.77-
18、1.94-3.180.054.02-6.52,32.828.529.525.332.521.8,6.94.4-2.94.7-13.70.2,78.0579.412.172.114.3537.48,76.2176.962.002.064.2342.68,85.2487.452.222.363.9851.74,94.60 102.34 89.54 113.00 115.00 123.50105.52 116.99 112.09 120.00 120.00 127.502.68 3.10 2.89 3.01 3.01 3.022.82 3.05 2.98 3.26 3.27 3.464.20 4.3
19、8 4.06 2.90 2.75 4.2556.77 58.04 57.03 66.20 72.30 87.70,Industrial Metals4,LME AluminumLME CopperLME NickelLME Zinc,$/mt$/mt$/mt$/mt,20697580187501853,4-130450-132,27.338.439.937.8,0.60-0.51-0.17-0.19,23.031.736.625.4,-6.90.1-2.7-9.2,21227042224312052,21107278212712043,23658614236192333,25319629269
20、262414,26189163241912271,24308993220372247,23008000185002050,24009000190002200,24009500210002400,Precious Metals,COMEX GoldCOMEX Silver,$/troy oz$/troy oz,161729.4,-93-3.2,22.942.4,-2.89-3.14,25.053.9,3.714.5,119718,122819,137026,138832,150838,170439,178529.8,184030.7,194032.4,Agriculture,CBOT Wheat
21、CBOT SoybeanCBOT CornNYBOT CottonNYBOT CoffeeNYBOT CocoaNYBOT SugarCME Live CattleCME Lean Hog,Cent/buCent/buCent/buCent/buCent/bu$/mtCent/lbCent/lbCent/lb,625119064496222202823.3120.383.9,4857544-460-0.80.9-0.9,33.322.631.2n/an/an/a30.3n/an/a,1.060.551.46n/an/an/a0.24n/an/a,27.219.619.928.126.545.8
22、40.414.618.6,-6.20.3-3.7-2.1-2.79.68.01.44.7,467957355811402987169482,6531035422871742863209580,707124556212820528562910171,786137967017925733073111186,745136173115627130432411194,690135669610625629622911594,670122068590235245022.0130.095.0,640125065085200245022.0125.095.0,590120055085175245022.0130
23、.095.0,Monthly change is difference of close on last business day and close a month ago.Monthly volatility change is difference of average volatility over the past month and that of the prior month(3-mo ATM implied volatility,1-mo realized volatility).Price forecasts refer to prompt contract price f
24、orecasts in 3-,6-,and 12-months time.Based on LME three month prices.Source:Goldman Sachs Global ECS Research estimates.高盛全球经济、商品和策略研究,rd,0,5,2012 年 1 月 11 日Crude oil prices strengthening on the economy,not IranBrent crude oil prices jumped$4.75/bbl on the first trading day of 2012,and have traded i
25、n a tightrange around$113.00/bbl so far this year.While the rise in crude oil prices has been widelyattributed to escalating tensions between Iran and the West,we find that the market remainsfocused on the improving economic outlook rather than on the risk that the Iranian tensionescalates into a se
26、vere supply shortage.In fact,as oil producers and refiners have reacted to thenew US sanctions against Iran and prepared for the likely implementation of a European Unionembargo of Iranian oil,the escalating tensions between Iran and the West have likely beenexerting a near-term negative influence o
27、n crude oil prices.More specifically,there is strikingly little evidence that any meaningful“Iran premium”is beingembedded in current crude oil prices.Net speculative positions increased modestly throughJanuary 3,suggesting a rebound from the low volume holiday markets to reach levels moreconsistent
28、 with those of early December.Further,the level of positioning is far below the levelsassociated with the loss of Libyan crude oil in 2011(see Exhibit 1).The rise in crude oil priceshas also coincided with a decline in the implied volatility priced in the crude oil options markets.Ifthe market were
29、truly focused on a potential supply shortfall,we would expect higher volatility anda sharp call skew.While the call skew has become less negative in the recent period,it remainsnegative,unlike during the loss of Libyan oil when the call skew became sharply positive(seeExhibit 2).More tellingly,the p
30、ut skew has also declined in the recent period,suggesting that thereduction in volatility is being driven more by reduced concerns over an economic contraction,than new concern over a supply shortage.,Exhibit 1:The recent crude price rally has been more of arebound from the quiet holiday market$/bbl
31、(left axis);million barrels(right axis),Exhibit 2:with volatility declining and call skew stillnegative,there is little evidence of an Iran“premium”25-delta call(put)implied vol,3 month(left axis)ATM implied vol,3 month(right axis),130,450,0.10,0.6,125120,400,0.080.06,Put skew,0.5,115,350,0.04,0.4,1
32、10,300,0.02,At-the-moneyvolatility,0.3,105,250,0.00,100,-0.02,0.2,95,200,-0.04-0.06,0.1,90Jan-11,Mar-11,May-11,Jul-11,Sep-11,Nov-11,Jan-12,150,Call skew,Brent,Net speculative positions,-0.08Jan-11,Mar-11,May-11,Jul-11,Sep-11,Nov-11,Source:ICE,Goldman Sachs Global ECS Research.,Source:NYMEX,Goldman S
33、achs Global ECS Research.,The concern over an economic contraction has lessened as the market has become moreconfident that the major effects of the European debt crisis will remain confined to Europe.Although we continue to think that economic conditions in the Eurozone will get worse in thecoming
34、months,the ECBs aggressive action on funding and the large take-up of the 3-yearLong-Term Refinancing Operation(LTRO)suggests that the ECB is and will continue to do whatit takes to prevent an abrupt breakdown in the European financial and banking system.Wecontinue to believe that if the European de
35、bt crisis does not devolve into a second financial crisis,the impact on global economic growth and the oil market will be limited.高盛全球经济、商品和策略研究,6,2012 年 1 月 11 日,There are also encouraging signs that the United States and China are proving resilient to thetroubles in Europe.In China,the PMI reading
36、 for December moved back into expansion,comingin at 50.3 against expectations of 49.1.Further,Chinese monetary policy has been loosening withloans and the money supply growing faster than expected.In the United States,the economicdata continues to surprise to the upside,with the ISM manufacturing in
37、dex for Decemberextending the expansion(53.9 vs.expectations of 53.5)and US non-farm payrolls increasing by200 thousand in December,relative to expectations of a 155 thousand increase.The improvedUS economic data has led our US economics team to raise their 1Q12 US economic growthforecast to 2.0%,fr
38、om 0.5%,and gives us stronger confidence in our forecasted upward trajectoryfor crude oil prices in 2012.,While the downside from the EU debit crisis has arguably lessened recently,new risks are beingcreated as the EU prepares to employ more sanctions against Iran,likely including an embargo ofIrani
39、an crude oil.We see the tensions with Iran as currently putting downward pressure on crudeoil prices as refiners cut back on purchases of Iranian oil in response to new US sanctions andSaudi maintains high production levels in order to supply refiners and prepare for implementationof a likely EU emb
40、argo on Iranian oil.The resulting surplus of oil in the market is puttingdownward pressure on prices and timespreads in the physical markets.Once the EU embargogoes into effect,we would expect this downward pressure to dissipate.We would expectEuropean refineries to replace the Iranian crude with Sa
41、udi barrels,clearing the current surplus,while China absorbs the surplus of Iranian crude,in part to fill its strategic reserves.,Consequently,we could simply see a swap of Saudi oil for Iranian by Europe being largely offsetby China filling its strategic reserves with Iranian oil instead of Saudi.H
42、owever,once the embargogoes into effect,the risks to crude oil prices will become much more skewed to the upside.WithSaudi producing close to 10.0 mmb/d,OPEC will be operating with a very thin layer of sparecapacity,making the oil market much more vulnerable to additional disruptions,with supplies f
43、romNigeria being a particular concern.Further,the significant risk remains that as tensions escalate,brinkmanship in the Persian Gulf could lead to the closure of the Strait of Hormuz.The Strait ofHormuz,with flows of 17 million b/d is the worlds most important oil shipping chokepoint,accounting for
44、 roughly 35%of all seaborne traded crude.Iran has threatened to block the Straitand has announced naval exercises in the region at the end of January.,However,we believe closing the Strait is not in anyones interest,including Irans.An attempt toclose the Strait would likely be met by a strong milita
45、ry response from the West to reopen thewaterway,and a release of strategic reserves to supply the market in the interim.This is likely thereason why the crude oil market is not embedding an“Iran premium”into the price of oil.In fact,in terms of current oil market pricing,we find it more likely that
46、the negative influence on near-term prices from the tensions between Iran and the West is likely masking the more positive near-term developments from the better than expected economic numbers in the United States andChina and the reduced risk of European contagion.Consequently,we expect prices to r
47、emainwell-supported even if tensions with Iran subside,and see the risk to oil prices increasinglyskewed to the upside in 2012.,Actions and reactions as the tensions between Iran and the West escalate,The tension between Iran and the West over Irans nuclear ambitions has intensified in recentyears.T
48、he United States and the EU suspect Irans nuclear program is aiming to develop nuclearweapons while Iran insists that the program is for the civilian use of nuclear power only.OnSeptember 12,2011,Iran commissioned the Busher I reactor,its first nuclear power plant.Iran,高盛全球经济、商品和策略研究,rd,7,2012 年 1 月
49、 11 日,has stated that it also operates two enrichments sites and is capable of creating 20%enricheduranium to feed a research reactor that produces radio isotopes for medical purposes.TheInternational Atomic Energy Agency(IAEA)has recently confirmed this capability,which couldalso be used to create
50、nuclear weapons.,In response to Irans continued progress in developing its nuclear program,on December 31,2011,President Obama signed into law a bill that imposes sanctions on foreign financialinstitutions that deal with Irans central bank.While the US law allows exemptions in order toensure energy
